Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0047 |
| Annualized Std Dev | 0.2254 |
| Annualized Sharpe (Rf=0%) | -0.0210 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3647.0000 |
| NAs | 1.0000 |
| Minimum | -0.1539 |
| Quartile 1 | -0.0046 |
| Median | 0.0006 |
| Arithmetic Mean | 0.0001 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0056 |
| Maximum | 0.1204 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0004 |
| UCL Mean (0.95) | 0.0005 |
| Variance | 0.0002 |
| Stdev | 0.0142 |
| Skewness | -0.7618 |
| Kurtosis | 18.9917 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0105 |
| Gain Deviation | 0.0104 |
| Loss Deviation | 0.0126 |
| Downside Deviation (MAR=210%) | 0.0149 |
| Downside Deviation (Rf=0%) | 0.0105 |
| Downside Deviation (0%) | 0.0105 |
| Maximum Drawdown | 0.7055 |
| Historical VaR (95%) | -0.0197 |
| Historical ES (95%) | -0.0355 |
| Modified VaR (95%) | -0.0207 |
| Modified ES (95%) | -0.0306 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-06-05 | 2009-03-09 | NA | -0.7055 | 3474 | 444 | NA |
| 2007-02-21 | 2007-03-05 | 2007-04-17 | -0.0581 | 39 | 9 | 30 |
| 2006-12-15 | 2007-01-05 | 2007-02-01 | -0.0308 | 31 | 13 | 18 |
| 2006-10-27 | 2006-11-02 | 2006-11-15 | -0.0176 | 14 | 5 | 9 |
| 2007-05-24 | 2007-05-24 | 2007-05-30 | -0.0156 | 4 | 1 | 3 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2006 | NA | NA | NA | NA | NA | NA | NA | NA | -0.4 | -1.5 | 0.1 | -0.5 | -2.2 |
| 2007 | 0.7 | -0.4 | -0.4 | 0 | 0.6 | -0.1 | -0.4 | 1.3 | 1.5 | -2.4 | 0.3 | -0.3 | 0.4 |
| 2008 | 1.7 | -2.4 | 3.2 | 1.3 | 0 | 0 | 0.2 | -0.3 | 0.8 | 2.6 | -9.6 | 2.9 | -0.5 |
| 2009 | -2.8 | -2 | 1.9 | 1.2 | 3.2 | 1.1 | 0.6 | -1.8 | -2.3 | -2.1 | 1.1 | -0.9 | -3 |
| 2010 | 1.3 | 0.9 | 0.6 | -0.8 | -1.9 | -0.1 | 0.2 | 2.1 | 0.3 | -0.2 | 1.3 | 0.1 | 3.9 |
| 2011 | 1.4 | -1 | 0.5 | 0.1 | -1.4 | 1 | 0.1 | -0.9 | -1.4 | -2.5 | -0.1 | -0.1 | -4.3 |
| 2012 | 1.1 | 0.4 | 0.2 | 0.5 | -2 | 1.9 | -0.3 | 0.5 | 0.3 | 0.9 | -0.1 | 1.3 | 4.7 |
| 2013 | 0.4 | 0 | -0.6 | -0.9 | -1.5 | 0.5 | 0.3 | -0.7 | 0.8 | 0 | 0.3 | 0.2 | -1.2 |
| 2014 | -0.6 | 0.2 | 0.5 | 0 | 0.1 | 0.2 | -0.5 | 0.4 | -0.8 | 0.5 | -1.4 | -0.5 | -1.8 |
| 2015 | -0.5 | 0.2 | 0 | 0.5 | -0.1 | 0.3 | 0 | -2.4 | 0.1 | 0.6 | 0.4 | -0.1 | -1 |
| 2016 | 0.1 | 1.6 | -0.8 | -0.4 | 0.3 | 0.8 | -1 | -0.6 | 0.5 | -1.4 | -0.2 | 0 | -1 |
| 2017 | 0 | 0.7 | 0.3 | -0.1 | 0.9 | 0.3 | 0.4 | 0.6 | 0.4 | 0.4 | -0.3 | 0.1 | 3.6 |
| 2018 | -0.1 | -0.7 | 0.7 | -0.3 | 0.5 | -0.5 | -0.7 | -0.2 | -0.2 | 1.4 | 0 | 0.8 | 0.8 |
| 2019 | -0.1 | 0.1 | 1.4 | -0.7 | -1.1 | 0.4 | -1.9 | 0.3 | -1.3 | 1.2 | -0.6 | 0.4 | -2 |
| 2020 | -1.7 | -1.2 | -6.1 | -4.4 | 1.8 | -1.4 | -0.7 | 0.4 | 0.1 | -0.1 | 1.2 | 0.6 | -11.2 |
| 2021 | 1.2 | 2.3 | -0.3 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 3.2 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2006-09-21 24.9 SPY 132. -0.00480 -0.0027 0.0134 0.0595 0.0906 0.286 0.336 GLD 58.0 1.21e-2 0.0133
2 2006-09-22 24.8 SPY 131. -0.003 -0.0037 0.0132 0.0565 0.0835 0.277 0.352 GLD 58.5 9.50e-3 0.0192
3 2006-09-25 24.9 SPY 132. 0.0077 0.0026 0.0218 0.0599 0.0909 0.310 0.316 GLD 58.5 0. 0.0046
4 2006-09-26 25.0 SPY 134. 0.0083 0.0134 0.029 0.078 0.0987 0.332 0.313 GLD 58.7 4.10e-3 0.032
5 2006-09-27 25.2 SPY 134. 0.00120 0.00930 0.0254 0.0721 0.100 0.338 0.319 GLD 59.8 1.82e-2 0.0445
6 2006-09-28 25.2 SPY 134. -0.0004 0.0138 0.0238 0.0504 0.0988 0.325 0.307 GLD 59.8 -3.00e-4 0.0318
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
